Jeffreys distance
From Encyclopedia of Mathematics
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A measure of the divergence between two probability distributions, developed by H. Jeffreys. For probability distributions on a finite set of size $n$, given by $P = (p_1,\ldots,p_n)$ and $Q = (q_1,\ldots,q_n)$, the Jeffreys distance is $$ J(P,Q) = \sum_{i=1}^n \left( { \sqrt{p_i} - \sqrt{q_i} }\right)^2 \ . $$
See also: Kullback–Leibler-type distance measures.
References
- Jeffreys, Harold "An invariant form for the prior probability in estimation problems" Proc. R. Soc. Lond., Ser. A. 186 (1946) 453-461 DOI 10.1098/rspa.1946.0056 Zbl 0063.03050
How to Cite This Entry:
Jeffreys distance. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Jeffreys_distance&oldid=38969
Jeffreys distance. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Jeffreys_distance&oldid=38969